Newcastle University

Introduction

Robert has a PhD in Economics from the University of Nottingham, supervised by Professor Paul Newbold and Professor Stephen Leybourne. His first academic post was a lectureship in the Department of Economics at Trinity College Dublin in 1999. He moved to a lectureship in the Department of Economics at the University of Durham in 2001, and joined Newcastle University Business School as Professor of Financial Economics in August 2006.

Roles and Responsibilities

Subject Group Head (Economics)

Qualifications

BA (Hons) Economics, University of Liverpool
MSc Environmental and Natural Resource Economics (Distinction), UCL
PhD Economics, University of Nottingham

Research Interests

- time series econometrics, statistics, finance

Current Work

- probability, quantile and density forecasting

- statistical arbitrage

- Value at Risk

Postgraduate Supervision

Turki Abalala (PhD Economics)
Ray Kwong (PhD Economics)
Zishun Ma (PhD Economics)
Kasra Pourkermani (PhD Economics)

Postgraduate Teaching

Module leader:

MSc Risk Modelling
MSc MATLAB for Finance

• Sollis R. Spurious Regression: A Higher-Order Problem. Economics Letters 2011, 111(2), 141-143.
• Sollis R. Testing the unit root hypothesis against TAR nonlinearity with STAR-based tests. Economics Letters 2011. In Press.
• Sollis R. Empirical Finance in Finance and Banking. Chichester:John Wiley & Sons,2011. In Press.
• Sollis R. A simple unit root test against asymmetric STAR nonlinearity with an application to real exchange rates in Nordic countries. Economic Modelling 2009, 26(1), 118-125.
• Sollis R. Value at Risk: A Critical Overview. Journal of Financial Regulation and Compliance 2009, 17(4), 398-414.
• Sollis R. Forecasting interest rates: an application of the stochastic unit root and stochastic cointegration frameworks. In: Rapach D; Wohar ME, ed. Forecasting in the Presence of Structural Breaks and Model Uncertainty. Bingley: Emerald, 2008, pp. 535-559.
• Sollis R. US dollar real exchange rates: nonlinearity revisited. Journal of International Money and Finance 2008, 27(4), 516-528.
• Wohar ME, Sollis R. Tests for asymmetric threshold cointegration with an application to the term structure. Journal of Economics 2007, 33, 1-19.
• Sollis R. Testing for bubbles: an application of tests for change in persistence. Applied Financial Economics 2006,16 6 491-498.
• Sollis R, Wohar ME. The real exchange rate-real interest rate relation: evidence from tests for symmetric and asymmetric threshold cointegration. International Journal of Finance and Economics 2006, 11(2), 139-153.
• Sollis R. Evidence on purchasing power parity from univariate models: The case of smooth transition trend-stationary. Journal of Applied Econometrics 2005,20 1 79-98.
• Sollis R. Predicting returns and volatility with macroeconomic variables: evidence from tests of encompassing. Journal of Forecasting 2005,24 3 221-231.
• Sollis R. Asymmetric adjustment and smooth transitions: a combination of some unit root tests. Journal of Time Series Analysis 2004,25 3 409-417.
• Sollis R, Wohar ME. A cautionary note on the order of integration of post-war aggregate wage, price and productivity measures. Manchester School 2004, 72(2), 261-282.
• Harris R, Sollis R. Applied Time Series Modelling and Forecasting. Chichester, UK: John Wiley, 2003.
• Sollis R, Leybourne SJ, Newbold P. Tests for Symmetric and Asymmetric Nonlinear Mean Reversion in Real Exchange Rates. Journal of Money, Credit, and Banking 2002, 34(3a), 686-700.
• P. Newbold, S.J. Leybourne and R. Sollis. U.S. and U.K. Interest Rates, 1890-1934: New Evidence on Structural Breaks. Journal of Money, Credit, and Banking 2001, 33(2a), 235-250.
• Sollis R, Leybourne SJ, Newbold P. Stochastic unit roots modelling of stock market indices. Applied Financial Economics 2000, 10(3), 311-315.
• R. Sollis, S.J. Leybourne and P. Newbold. Unit roots and asymmetric smooth transitions. Journal of Time Series Analysis 1999, 20, 671-677.